Overview
Lutz Kilian is a macroeconometrician (long at the University of Michigan; subsequently Federal Reserve Bank of Dallas) best known for reshaping the empirical analysis of oil-price shocks and for methodological work on structural VARs, impulse-response inference, and forecast evaluation. His central contribution is the demonstration that oil-price movements are largely demand-driven and that their macroeconomic effects depend on the underlying shock.
Key Contributions / Features
- Exogenous oil supply shocks (Kilian 2008, REStat): event-based counterfactual measure of OPEC production shortfalls; exogenous supply shocks explain little of oil-price movements and have modest average macro effects; weak-instrument critique of IV oil-price regressions.
- Structural oil-market VAR (Kilian 2009, AER, "Not All Oil Price Shocks Are Alike"): decomposition of the real oil price into supply, aggregate-demand, and oil-specific (precautionary) demand shocks, with a dry-cargo-freight-rate index of global real activity.
- Impulse-response inference: small-sample and non-normal bootstrap confidence intervals for impulse responses (Kilian 1998a,b); reliability of local-projection estimators (Kim-Kilian 2011).
- Co-author (with Helmut Lütkepohl) of the graduate text Structural Vector Autoregressive Analysis.
Related